Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 3 |
| Score | -0.1 | -0.73 | -0.38 |
| Market Cap (Millions USD) | 18984.68 | 19090.57 | 18649.32 |
| Predicted Beta | 3.5 | 3.5 | 3.5 |
| Idiosyncratic Volatility | 3.54 | 6.12 | 7.05 |
Annualized return and volatility
| MDY | |
|---|---|
| Annualized Return | 0.0914 |
| Annualized Std Dev | 0.2110 |
| Annualized Sharpe (Rf=0%) | 0.4332 |
Row
Daily Return Statistics
| MDY | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1166 |
| Quartile 1 | -0.0056 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1200 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0133 |
| Skewness | -0.1556 |
| Kurtosis | 8.2660 |
Downside Risk
| MDY | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.5533 |
| Historical VaR (95%) | -0.0203 |
| Historical ES (95%) | -0.0314 |
| Modified VaR (95%) | -0.0198 |
| Modified ES (95%) | -0.0327 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2010-12-06 | -0.5533 | 872 | 426 | 446 |
| 2002-04-17 | 2002-10-09 | 2003-10-13 | -0.3202 | 385 | 125 | 260 |
| 2011-05-02 | 2011-10-03 | 2012-03-26 | -0.2619 | 230 | 109 | 121 |
| 2000-09-08 | 2001-09-21 | 2002-04-10 | -0.2557 | 402 | 263 | 139 |
| 2018-08-30 | 2018-12-24 | 2019-11-26 | -0.2317 | 318 | 82 | 236 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | MDY | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.0 | 1.0 | 0.0 | 1.4 | 2.9 | 0.0 | 0.2 | 1.0 | 0.0 | 0.7 | 2.3 | 0 | 10.9 |
| 2001 | -0.4 | 0.4 | 0.0 | 1.4 | 1.3 | 0.0 | 1.1 | 0.0 | -1.3 | 1.8 | 0.0 | 0 | 4.4 |
| 2002 | -0.5 | 2.6 | 0.4 | 0.6 | 0.0 | -2.5 | -2.4 | 0.0 | 3.3 | 2.0 | 0.0 | 0 | 3.4 |
| 2003 | 0.0 | 0.0 | 1.4 | 0.0 | 0.0 | 0.9 | -0.8 | 0.0 | 2.4 | 0.0 | 1.3 | 0 | 5.2 |
| 2004 | 0.0 | 1.6 | 1.1 | 0.0 | 0.5 | -1.4 | 0.0 | 0.5 | 1.8 | 0.1 | 1.1 | 0 | 5.3 |
| 2005 | 0.9 | 0.5 | -0.2 | 0.0 | 1.0 | 0.8 | 0.0 | -0.3 | 0.0 | 0.9 | 1.4 | 0 | 5.1 |
| 2006 | 0.8 | 1.6 | 0.0 | -0.6 | 1.4 | 0.0 | -0.7 | 0.5 | 0.0 | -1.4 | 0.1 | 0 | 1.5 |
| 2007 | 1.1 | -0.4 | 0.0 | 0.3 | 0.4 | 0.0 | 0.5 | 0.0 | 1.2 | -2.3 | 0.0 | 0 | 0.7 |
| 2008 | 2.7 | 0.0 | 3.5 | 1.4 | 0.0 | 0.0 | -0.3 | 0.0 | 0.0 | 0.0 | -10.3 | 0 | -3.6 |
| 2009 | 0.0 | 0.0 | 1.4 | -0.1 | 3.7 | 0.8 | 0.0 | -2.1 | -2.9 | 0.0 | 1.5 | 0 | 2.2 |
| 2010 | 1.5 | 1.8 | 1.1 | 0.0 | -2.5 | -0.6 | 0.0 | 3.4 | 0.3 | 0.0 | 2.1 | 0 | 7.1 |
| 2011 | 1.5 | -1.6 | 0.7 | 0.0 | -2.9 | 1.7 | -0.6 | -1.5 | 0.0 | -3.1 | -0.7 | 0 | -6.4 |
| 2012 | 2.1 | 0.9 | 0.0 | 0.5 | -3.1 | 0.0 | -1.1 | 0.0 | -0.5 | 2.5 | 0.0 | 0 | 1.2 |
| 2013 | 0.8 | -0.1 | -1.0 | -1.8 | 0.0 | 1.5 | 2.1 | 0.0 | 1.4 | 0.1 | 0.0 | 0 | 2.9 |
| 2014 | 0.0 | 0.0 | 0.9 | 0.1 | 0.0 | 0.8 | -0.1 | 0.0 | -1.3 | 0.0 | -1.3 | 0 | -0.9 |
| 2015 | 0.0 | 0.0 | -0.4 | 0.8 | 0.2 | 0.4 | 0.0 | -2.8 | -0.2 | 0.0 | 0.9 | 0 | -1.2 |
| 2016 | -0.2 | 2.3 | 0.6 | 0.0 | 0.5 | 0.2 | -0.3 | 0.0 | 0.0 | -1.1 | -0.2 | 0 | 1.7 |
| 2017 | -0.3 | 1.7 | 0.0 | 0.3 | 1.6 | 0.0 | 0.3 | 0.4 | 0.0 | -0.3 | -0.3 | 0 | 3.4 |
| 2018 | 0.2 | -0.3 | 0.0 | 0.4 | 0.6 | 0.0 | -0.3 | 0.0 | -0.8 | 2.0 | 0.0 | 0 | 1.6 |
| 2019 | 0.3 | 0.8 | 1.3 | -1.2 | 0.0 | 0.2 | -1.5 | 0.0 | -1.9 | 1.4 | 0.0 | 0 | -0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
